红利风格择时周报（0224-0227） [Table_Authors] 郑雅斌(分析师) 本报告导读： 上周（20260224 至 20260227）红利风格择时模型综合因子值为-0.10，在连续两周为 正值后转为轻微负向信号，前一周（20260209 至 20260213）因子值为 0.09。 投资要点： | | 021-23219395 | | --- | --- | | | zhengyabin@gtht.com | | 登记编号 | S0880525040105 | | | 梁誉耀(分析师) | | | 021-38038665 | | | liangyuyao@gtht.com | | 登记编号 | S0880524080003 | [Table_Report] 相关报告 低频选股因子周报（2026.02.13-2026.02.27） 2026.03.01 量化择时和拥挤度预警周报（20260227） 2026.02.28 红利风格择时周报（0209-0213） 2026.02.24 量化择时和拥挤度预警周报（20260220） 2026.02.22 高频选股因子周报（20260209-202602 ...

红利风格择时周报（0224-0227） [Table_Authors] 郑雅斌(分析师) 请务必阅读正文之后的免责条款部分 金 融 工 本报告导读： 上周（20260224 至 20260227）红利风格择时模型综合因子值为-0.10，在连续两周为 正值后转为轻微负向信号，前一周（20260209 至 20260213）因子值为 0.09。 投资要点： | | 021-23219395 | | --- | --- | | | zhengyabin@gtht.com | | 登记编号 | S0880525040105 | | | 梁誉耀(分析师) | | | 021-38038665 | | | liangyuyao@gtht.com | | 登记编号 | S0880524080003 | [Table_Report] 相关报告 低频选股因子周报（2026.02.13-2026.02.27） 2026.03.01 量化择时和拥挤度预警周报（20260227） 2026.02.28 红利风格择时周报（0209-0213） 2026.02.24 量化择时和拥挤度预警周报（20260220） 2026.02.22 高 ...

本文来自格隆汇专栏：梁中华宏观研究 作者：张剑宇 梁中华 · 投资要点 · 美国地产企稳或是新一轮通胀的起点，但本轮再通胀的不同之处在于，通胀预期伴随的是降息预期而非紧缩预期，其代价是更弱的美元。在通胀预期的自 我实现与预期强化的循环下，2026年10年美债利率存在突破4.5%的风险，甚至不排除挑战5%。 住房负担能力已清晰地展现出改善前景：1）只需抵押贷款利率降至5.6%以下（当前6.1%），或者房价收入比降至3.5（当前3.8），负担能力即能有明显 改善（回到金融危机前的平均水平）；2）住房价格去通胀的同时，收入增长韧性有助于降低房价收入比；3）更即时的改善源于抵押贷款利率的快速下 降，自2025年三季度经济开启修复后，房贷利率因利差收窄而迅速降低，往后看仍有下降空间。 3、去通胀后：供需错配下的房价弹性 疫后高房价压制需求，导致房价跟随供给端进行了一轮去通胀，但在供给不足的总体格局下，房价下探有底，后续大概率跟随需求温和反弹。 次贷危机以来，美国地产行业长期存在供给不足的问题：难买的土地、难招的工人、难建的房子是三大掣肘，土地分区监管导致大城市居民用地结构性短 缺，建筑工人数量永久性收缩、以及疫情和关税 ...

Group 1 - The report emphasizes the importance of capturing opportunities in cyclical industries from price expectations to performance realization, with a focus on the relationship between commodities and US Treasury yields [5][7][8] - In the week ending January 30, 2026, global stock markets showed mixed results, with Hong Kong and UK markets leading gains, while major commodity futures saw significant fluctuations, particularly in crude oil prices [5][6] - The report highlights that the manufacturing PMI for January 2026 fell to 49.3%, down from 50.1% in December, influenced by the upcoming Spring Festival and a high base effect from the previous month [10][11] Group 2 - The analysis indicates that the decline in the manufacturing PMI is not solely due to seasonal factors but also reflects a high base from the previous month, which saw an unusual improvement [10][11] - The report notes that the production index decreased to 50.6%, while the new orders index fell below the threshold to 49.2%, indicating a slowdown in demand [11][12] - The non-manufacturing PMI also showed weakness, dropping to 49.5%, primarily due to a decline in the construction sector, which was affected by seasonal factors and a high base from the previous month [12][13] Group 3 - The report discusses the performance of various sectors in the domestic equity market, with financials, cyclical, and consumer sectors leading in trading volume, while 10 sectors saw gains and 21 sectors experienced declines [6][18] - The report highlights that the energy sector, particularly crude oil, saw significant price increases due to geopolitical tensions, while precious metals experienced a sharp decline following the nomination of a new Federal Reserve chair [5][7] - The report also mentions that the A-share market is currently facing downward pressure, with major indices showing significant declines, and emphasizes the need to monitor support levels in the coming weeks [18][19]

宏观研究 /[Table_Date] 2026.01.29 美联储如期按兵不动 [Table_Authors] 汪浩(分析师) ——2026 年 1 月美联储议息会议点评 本报告导读： 2026 年 1 月 FOMC 会议按兵不动基本符合市场预期，美联储对经济、就业和通胀 都表现出了更乐观的态度，这为重启降息增加了很大的不确定性，鲍威尔模糊化前 瞻性指引。我们认为美联储主席换届与美联储独立性遭破坏将对货币政策产生较大 扰动，但具有短期性特征。预计美债利率短期高位震荡后先下后上，美股短期震荡 后仍有支撑。 投资要点： | | 0755-23976659 | | --- | --- | | | wanghao8@gtht.com | | 登记编号 | S0880521120002 | | | 梁中华(分析师) | | | 021-23219820 | | | liangzhonghua@gtht.com | | 登记编号 | S0880525040019 | [Table_Report] 相关报告 白银牛市：价格破 100 怎么看 2026.01.28 有待稳固的"V 型"反弹 2026.01.27 总量稳健，结 ...

General Information - Report Title: Exchange Rate High-Frequency Tracking [1] - Analysts: Zhang Jing (Qualification No. F3022617, Investment Consultation No. Z0013604), Cheng Xiaoqing (Qualification No. F3083989, Investment Consultation No. Z0018635) [2] Report Core View - The recent upward movement of the 10V US Treasury yield and dollar fluctuations are mainly due to three factors: the risk of a stronger US Treasury yield caused by a stable US labor market and strong inflation; the tariff uncertainty from the "Greenland conflict" reigniting concerns about de-dollarization; and the spillover effect of Japanese bond yields. If inflation remains at a relatively high level and the labor market stays in a "low-speed balance," the short-term path of Fed monetary easing may be unsupported, and the dollar index may show a "weak first, then strong" pattern [2] Summary by Related Content Exchange Rate Core Logic - The risk of a stronger US Treasury yield is due to a stable US labor market, especially the unemployment rate, and strong inflation. As the PMI employment index and initial jobless claims have not deteriorated significantly, the market's expectation of this year's interest rate cut has been postponed [2] - The "Greenland conflict" has led to tariff uncertainty, reigniting concerns about de-dollarization. Trump's policies have affected some sovereign investors' asset allocation decisions, and if policy uncertainty persists, it may lead to a broader reevaluation of US Treasury asset allocation by international capital [2] - The spillover effect of Japanese bond yields: On January 19, Kao Ichimasa announced the dissolution of the parliament for early elections and proposed more radical tax cuts, causing market concerns about the deterioration of Japan's fiscal situation. Poor Japanese bond auction results have also deepened concerns about long-term bond demand [2] Economic Index Tracking - The difference between the US and European Citi Economic Surprise Index has rebounded [3] - The difference between the US and European long-term inflation expectations is in a certain range [5] - The difference between the US and European short-term interest rate expectations has increased [7] - The US long-term inflation expectation has risen [7] - The US short-term interest rate expectation has changed [9] - The VIX index has fallen back to a low level [11] - The euro swap basis shows that the pressure on cross-border dollar liquidity is limited [13] - The CFTC net position shows that the dollar maintains a net negative position exposure [17] - The term spread continues to narrow when looking at US Treasury deficit concerns and the dollar trend from the 30 - 10Y spread (in reverse order) and the 10Y swap spread [19] Correlation with Other Assets - There is a certain relationship between the dollar index and the gold-to-copper ratio [24] - There is a relationship between the dollar and copper prices, and copper prices have changed [27] - There is an inverse relationship between the dollar and crude oil prices, and crude oil prices have changed [29] - There is a relationship between the US dollar-yuan central parity rate and the spot exchange rate [35]

中信建投研报指出，近期美元兑人民币汇率同样持续走高，鉴于结汇意愿短期仍较强，且每年年初都是 人民币升值的主要时间窗口，不排除春节前人民币继续冲高，释放升值压力。美债下跌、人民币走强的 组合，对美债目前持仓而言会是不小的压力，但进入到3月份之后，美债利率和人民币汇率可能出现同 时筑顶的情况，届时将提供更为理想的买点。 ...

Core Viewpoint - The report from the Chen Guo team at Dongfang Caifu indicates that while there are signs of rising US Treasury yields and an imminent interest rate hike by the Bank of Japan, there is a strong willingness among investors to capitalize on the spring market rally, particularly in the domestic demand sector, especially non-durable consumer goods [1] Group 1: Market Dynamics - The spring market has evolved through three distinct phases: the calendar effect phase (before 2017), the preemptive speculation phase (2018-2023), and the reflexive phase expected in 2024-2025 [2] - The current market is characterized by a high level of financing and a tendency for institutional investors to engage in preemptive buying, indicating a strong market sentiment [3] Group 2: Investment Opportunities - Key sectors to focus on include insurance, brokerage, non-ferrous metals, AI computing/semiconductors, retail/personal care/social services/dairy products, aviation, new energy, and innovative pharmaceuticals, as these sectors show sufficient attractiveness and increasing win rates [1] - The domestic policies aimed at expanding domestic demand and reducing internal competition provide a favorable environment for these sectors, with expectations of a stronger RMB exchange rate [3][4] Group 3: Long-term Outlook - Historical data suggests that sectors with lower performance in the previous year may experience a rebound, driven by policy expectations and the end of annual performance assessments for institutions [4] - The gradual appreciation of the RMB and supportive policies from the Central Economic Work Conference are expected to play a significant role in restoring domestic demand and improving economic structure in the medium to long term [4]

- The Dividend Style Timing Model's comprehensive factor value for the week of December 8, 2025, to December 12, 2025, is -0.72, which is a slight decline from the previous week's value of -0.65, and it remains below 0, indicating no positive signal[1][4][6] - The decline in the comprehensive factor value is mainly due to the significant drop in dividends last week, which resulted in a negative contribution from the momentum factor, and a slight recovery in market sentiment, which weakened the positive contribution to dividends[4][9] - The main negative contributions to the dividend score from the stock factors are the downward trend in US Treasury yields and the recovery in analyst industry sentiment, while other factors showed no significant changes[4][9] Quantitative Models and Construction Methods 1. **Model Name**: Dividend Style Timing Model - **Model Construction Idea**: The model aims to time the dividend style by evaluating various factors that influence dividend performance. - **Model Construction Process**: The model aggregates multiple factors to compute a comprehensive factor value. The factors include momentum, market sentiment, US Treasury yields, and analyst industry sentiment. The comprehensive factor value is calculated as a weighted sum of these individual factors. - **Model Evaluation**: The model's comprehensive factor value has shown a decline, indicating no positive signal for dividend style timing[1][4][6] Model Backtesting Results 1. **Dividend Style Timing Model**: Comprehensive factor value for the week of December 8, 2025, to December 12, 2025, is -0.72, compared to -0.65 for the previous week[1][4][6] Quantitative Factors and Construction Methods 1. **Factor Name**: Momentum Factor - **Factor Construction Idea**: The momentum factor measures the performance trend of dividends over a specific period. - **Factor Construction Process**: The momentum factor is calculated based on the rate of change in dividend performance over the past period. - **Factor Evaluation**: The momentum factor contributed negatively to the comprehensive factor value due to the significant drop in dividends last week[4][9] 2. **Factor Name**: Market Sentiment Factor - **Factor Construction Idea**: The market sentiment factor gauges the overall market mood and its impact on dividend performance. - **Factor Construction Process**: The market sentiment factor is derived from various market indicators that reflect investor sentiment. - **Factor Evaluation**: The market sentiment factor's positive contribution to dividends weakened slightly due to a slight recovery in market sentiment[4][9] 3. **Factor Name**: US Treasury Yields Factor - **Factor Construction Idea**: The US Treasury yields factor assesses the impact of US Treasury yields on dividend performance. - **Factor Construction Process**: The factor is calculated based on the trend in US Treasury yields, particularly the 10-year yield. - **Factor Evaluation**: The downward trend in US Treasury yields contributed negatively to the dividend score[4][9] 4. **Factor Name**: Analyst Industry Sentiment Factor - **Factor Construction Idea**: The analyst industry sentiment factor evaluates the sentiment of industry analysts and its effect on dividend performance. - **Factor Construction Process**: The factor is derived from the average sentiment scores of industry analysts. - **Factor Evaluation**: The recovery in analyst industry sentiment contributed negatively to the dividend score[4][9] Factor Backtesting Results 1. **Momentum Factor**: Contributed negatively to the comprehensive factor value due to the significant drop in dividends last week[4][9] 2. **Market Sentiment Factor**: Positive contribution to dividends weakened slightly due to a slight recovery in market sentiment[4][9] 3. **US Treasury Yields Factor**: Downward trend in US Treasury yields contributed negatively to the dividend score[4][9] 4. **Analyst Industry Sentiment Factor**: Recovery in analyst industry sentiment contributed negatively to the dividend score[4][9]

Macro - The Federal Reserve lowered interest rates by 25 basis points as expected, but internal divisions among FOMC members increased, with 3 out of 12 voting against the decision, marking the first dissent since 2019 [2] - The Fed has become more optimistic about the U.S. economy and inflation, revising GDP growth forecasts upward for 2025 to 2028 and lowering unemployment rate predictions for 2027, while also reducing PCE and core PCE forecasts for 2025 and 2026 [2] - The Fed announced a technical expansion of its balance sheet, starting in December with the purchase of $40 billion in short-term Treasury securities, which is expected to remain high for several months before significantly reducing [2] - While the guidance for future rate cuts remains consistent with September's meeting, the language used is more cautious, indicating that future cuts will have a higher threshold [2] Interest Rate Outlook - It is anticipated that the Fed will continue to lower rates in 2026, influenced by structural changes in the labor market and political factors, with expectations of 2-3 rate cuts due to a weakening labor market and easing inflation [3] - The upcoming change in Fed leadership in May 2026 may also impact the pace of rate cuts, with potential candidates advocating for more aggressive monetary easing [3] Bond Market and Stock Market - The 10-year U.S. Treasury yield is expected to decline initially in 2026, reaching a low of around 3.5%-3.8% mid-year, before rising again as economic fundamentals improve [4] - The stock market, particularly sectors sensitive to interest rates such as technology, real estate, and small-cap stocks, is expected to remain supported despite concerns over an AI bubble, which is viewed as a temporary structural issue [4] Asset Allocation Strategies - The macro factor-based asset allocation strategy has yielded a return of 4.25% this year, with a slight increase in November [10] - Recent performance of major asset classes shows gold and commodity indices rising, while equity assets experienced slight pullbacks, indicating a shift in market dynamics [9]